Well, I believe I found it's location. My Win XP is on drive F. So, if I put F:\WINDOWS\system32\control.cpl as the link to text, such as Control Panel, in an HTML file, it works. However, when I click on the hyperlink, Windows displays a message saying: "Do you want to run or save this file?". If I click on run, a second panel, a Security Warning, appears saying: "The publisher could not be verified. Are you sure you want to run this software?" I can then click on Run and Control Panel opens.
I believe this second panel, the warning, can be disabled, but I dont' know the details of how to do that yet.